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Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
Horváth, Lajos; Kokoszka, Piotr; Tessière, Gilles - 2003
Persistent link: https://www.econbiz.de/10001790731
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Testing for stochastic dominance using the weighted McFadden-type statistic
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas - In: Journal of econometrics 133 (2006) 1, pp. 191-205
Persistent link: https://www.econbiz.de/10003354571
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Change-point detection in GARCH models : asymptotic and bootstrap tests
Kokoszka, Piotr; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001732866
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - In: Econometric reviews 38 (2019) 7, pp. 828-855
Persistent link: https://www.econbiz.de/10012181361